Source: http://cleaning.helium.com/how-to/10133-how-to-clean-an-espresso-machine
Like all the other appliances in your kitchen, your espresso machine needs a good cleaning once in a while. The number of times you clean it depends on how often you use it. If you use it regularly and make many cups of espresso, then you really should clean it at least once a week.
The oils from the coffee beans can accumulate in the machine and cause the espresso to have a unpleasant taste. They cause a film to build up on the filter basket and behind the water screen and over time this film will cause the holes in the filter to become clogged.
One of the main cleaning chores you should perform is to wipe the steam wand after every use and after each brewing session you should run a shot of hot water through the espresso machine.